An Efficient Difference Algorithm for Black-Scholes Equation with Payment of Dividend
Black-Scholcs equation is the basic equation of option pricing in financial mathematics,it is important to study its numerical solution in financial market.This paper constructs a new kind of high order accuracy numerical algorithm (Threc-iayer difference scheme) for Black-Scholes equation with payment of dividend.Secondly,it gives the convergence of scheme.Thirdly,the stability and error estimates are analyzed.Finally,the numerical exmples show the feasibility and effectiveness of the scheme.The truncation error of Three-layer scheme is little worse than Crank-Nicolson scheme and computational cost is little better than Crank-Nicoslon scheme.Therefore,the scheme is better suitable for applying to calculate the option pricing in the demanding high level of instantaneity.
component Black-Scholes equation Three-layer difference scheme calculation stability error estimate numerical example
Wu Lifei Yang Xiaozhong
Dept.of Mathematics and Physics North China Electric Power University Beijing, China
国际会议
太原
英文
470-473
2012-12-08（万方平台首次上网日期，不代表论文的发表时间）